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visits member for 2 years, 9 months
seen Nov 18 at 12:09

Jun
20
comment Is a linear combination of GARCH processes also a GARCH process?
good answer, but usually we work with logarithmic returns, if 'x1' and'x2' are returns and x3=a1*x1+a2*x2, and r1=ln(x1),r2=ln(x2), r3=ln(x3) then r3 isn't equal to r1+r2
Jun
20
awarded  Scholar
Jun
20
accepted Is a linear combination of GARCH processes also a GARCH process?
Jun
19
awarded  Peer Pressure
Jun
19
asked Is a linear combination of GARCH processes also a GARCH process?
Jun
16
answered What tools exist for order book analysis and visualization?
May
22
comment Has high frequency trading (HFT) been a net benefit or cost to society?
but the volume you can trade at bid and ask is lower than in pre-HFT times
May
22
awarded  Commentator
May
22
comment What is a commonly accepted econometric model for volume?
@Dirk Eddelbuettel but AR(1)-GARCH(1,1) does
May
22
revised What is a commonly accepted econometric model for volume?
added 6 characters in body
May
22
asked What is a commonly accepted econometric model for volume?
May
21
revised How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
added 1833 characters in body
May
21
revised How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
added 1833 characters in body
May
21
comment How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Ok, I'm going to add more details in next two days (from the statistical and econometric side).
May
21
asked How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Apr
26
awarded  Teacher
Apr
26
comment Does the correlation amongst stocks rise when stock values decline?
I believe I've read that unconditional correlation increases also.
Apr
26
revised How do I graphically represent the evolution of a covariance matrix over time?
added 55 characters in body
Apr
26
answered How do I graphically represent the evolution of a covariance matrix over time?
Apr
26
comment How do I graphically represent the evolution of a covariance matrix over time?
This appoach could be use if we first make cluster analysis, and then make minimum spanning tree for cluster centres. Beyond that change in spanning tree structure could be view as evidence of some "topological" changes in market structure.